How to get the legs of a swap in QuantLibXL?
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How to get the legs of a swap in QuantLibXL?
 
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Hi all,
could you please tell me if there is a way in QuantLibXL to access the underlying Leg objects of a swap? For example, let's say I want to know the current accrued days for the floating leg. If I have built the legs first, and then the swap from the legs (with qlFixedRateLeg, qlIborLeg, qlSwap), then I can call qlLegAccruedDays on the floating leg object to get the number that I want. But what if I have built the swap without creating the legs first, for example with qlVanillaSwap or qlAssetSwap? Then the legs are inside the VanillaSwap or AssetSwap object but, unless there's a way which escapes me, I can't get to them. There are quite many functions which operate on Legs and lack an equivalent for Swaps: qlLegAccrualStartDate, qlLegAccrualEndDate, qlLegDuration, qlLegNextCashFlowDate, qlLegNextCashFlowAmount, qlLegNextCouponRate... Duplicating (actually, triplicating) all of them would be a lot of work and not really a neat solution. I see that QuantLib does have a Swap::leg accessor method, so it's QuantLibXL which lacks equivalent functionality. I don't know whether it would be simple to add. Thank you Gerardo <!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"> <html xmlns="http://www.w3.org/1999/xhtml"> <head></head> <body> <div style="font-family:Calibri;font-size:10px"> Banca Profilo S.p.A. Corso Italia, 49 - 20122 Milano - Tel. 02 58408.1, Fax 02 5831 6057 Capitale Sociale Euro 136.794.106,00 i.v. Iscrizione al Registro Imprese di Milano, C.F. e P.IVA 09108700155 - [hidden email] Iscritta all’Albo delle Banche e dei Gruppi bancari Aderente al Fondo Interbancario di Tutela dei depositi Aderente al Conciliatore Bancario Finanziario e all’Arbitro Bancario Finanziario Appartenente al Gruppo bancario Banca Profilo e soggetta all’attività di direzione e coordinamento di Arepo BP S.p.A. DISCLAIMER: The information transmitted may contain confidential and/or privileged material. Any review, retransmission, dissemination or other use of, or taking of any action in reliance upon, this information by persons or entities other than the intended recipient is prohibited. If you received this in error, please contact the sender and delete the material from any computer. </div> </body> </html> ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: How to get the legs of a swap in QuantLibXL?
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Did you have a look at the qlSwapLegAnalysis() function? It retrieves most of the information from the underlying swap legs. Best, Bojan -- Bojan Nikolic || http://www.bnikolic.co.uk/ql ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
R: How to get the legs of a swap in QuantLibXL?
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Da: Bojan Nikolic [mailto:[hidden email]]
> Did you have a look at the qlSwapLegAnalysis() function? It retrieves > most of the information from the underlying swap legs. Yes the information is there, but it requires calculations to extract it (e.g., to find the current accrued days, first I must locate the current coupon, then subtract the start date from the evaluation date). While if I could access the legs, the appropriate function would give me the answer directly. Gerardo <!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"> <html xmlns="http://www.w3.org/1999/xhtml"> <head></head> <body> <div style="font-family:Calibri;font-size:10px"> Banca Profilo S.p.A. Corso Italia, 49 - 20122 Milano - Tel. 02 58408.1, Fax 02 5831 6057 Capitale Sociale Euro 136.794.106,00 i.v. Iscrizione al Registro Imprese di Milano, C.F. e P.IVA 09108700155 - [hidden email] Iscritta all’Albo delle Banche e dei Gruppi bancari Aderente al Fondo Interbancario di Tutela dei depositi Aderente al Conciliatore Bancario Finanziario e all’Arbitro Bancario Finanziario Appartenente al Gruppo bancario Banca Profilo e soggetta all’attività di direzione e coordinamento di Arepo BP S.p.A. DISCLAIMER: The information transmitted may contain confidential and/or privileged material. Any review, retransmission, dissemination or other use of, or taking of any action in reliance upon, this information by persons or entities other than the intended recipient is prohibited. If you received this in error, please contact the sender and delete the material from any computer. </div> </body> </html> ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: How to get the legs of a swap in QuantLibXL?
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In reply to this post by Ballabio Gerardo-4
On Fri, Jun 22, 2012 at 5:15 PM, Ballabio Gerardo <[hidden email]> wrote:
> I see that QuantLib does have a Swap::leg accessor method, so it's > QuantLibXL which lacks equivalent functionality. I don't know whether it > would be simple to add. done I would suggest anyone interested to take a look at the implementation, as it use a nice trick. When a shared pointer to an underlying C++ object is needed in Excel, this is equivalent to creating a new XL Object, Objects being nothing else than shared pointers.
So the member function Swap::leg is exposed to Excel as qlLegFromSwap Constructor. ciao -- Nando PS did I win a free beer from you ? ;-) ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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